Pricing Asian options of discretely monitored geometric average in the regime‐switching model

DOI10.1002/asmb.2183zbMath1420.91469OpenAlexW2472908600MaRDI QIDQ4620168

Jerim Kim, Hyun Joo Yoo, Tae-Wan Kim

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2183

zbMATH Keywords

option priceregime-switchingdiscrete monitoringdeltageometric Asian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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